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Solving Dynamic Programming Problems on a Computational Grid

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  • Yongyang Cai
  • Kenneth L. Judd
  • Greg Thain
  • Stephen J. Wright

Abstract

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is implemented using the Master-Worker library running on the HTCondor grid computing platform. We implement value function iteration for several large dynamic programming problems of two kinds: optimal growth problems and dynamic portfolio problems. We present examples that solve in hours on HTCondor but would take weeks if executed on a single workstation. The use of HTCondor can increase a researcher’s computational productivity by at least two orders of magnitude.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18714.

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Date of creation: Jan 2013
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Handle: RePEc:nbr:nberwo:18714

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